Zero Hedge recently discussed Implementation Shortfall (slippage) costs courtesy of empirical data made available by ITG. We are happy to share with our readers some of ITG's perspectives on the topic of Flash orders and Dark Pools.
I am among the many readers of Zero Hedge here at ITG (we don’t block access to financial blogs of any stripe). I read with interest your post on “The Cost of High Frequency Trading” (08/02/2009, 11:36).
While we are happy to see that you find our research on Implementation Shortfall to be useful, we just wanted to clarify a couple of things:
1. The ban on most 3rd party algorithms in POSIT is not new – the quote from our CEO you cite is from December 2007.
2. Regarding high frequency trading – the vast majority of our clients are institutional investors. We do very little business with high frequency traders as they are not our core customer base. We have developed proprietary anti-gaming software and liquidity filters to prevent our clients’ orders from interacting with toxic liquidity. We also do not interact with flash orders in any venue.
Investment Technology Group